【摘要】 本文介绍了Granger引导关系模型,并利用这个模型对伦敦金属交易所(LME)三个月期铜和上海期货交易所(SHFE)五个月期铜进行了价格引导关系检验。检验结果显示,伦敦金属交易所三个月期铜价格滞后引导上海期货交易所五个月期铜价格,但是上海期货交易所对伦敦金属交易所的期铜价格不具有滞后价格引导关系。更多还原

【Abstract】 In this paper,cointegration and causal relationship are introduced.Using these models,this paper takes the futures copper prices of London Mental Exchange(LME)and Shanghai Futures Exchange(SHFE)as the object of study to test the cointegration and causal relationship between them.The result shows that two price series follow the cointegration.Moreover,our empirical analysis shows that the futures copper price of LME lead-lag that of SHFE while the futures copper price of SHFE doesn’t lead-lag that of LME.更多还原